After 3 Up Days S&P500 Is Back near Highs, VIX 15

3 Strong Days on S&P500

After closing the lowest since 5 September last Friday, S&P500 has been advancing for three straight days this week and today it closed at 1460.91, just 0.33% off the highest close since 2009 (1465.77 on 14 September). So little is needed to get from the bottom to the top in the recent narrow range near the market’s long-term highs. The range, only a little over 2% wide, has kept the market locked for more than a month now.

S&P500

21-day historical volatility has been below 10% recently.

S&P500 (intraday)

Intraday chart of S&P500 since the end of August.

VIX Falls, But Not That Much

As usual with equities advancing, the VIX was falling in the beginning of this week. However, on Wednesday is stabilized and closed at 15.07, about 1 point higher than where it was previously when S&P500 was at the top of its range.

VIX (CBOE Volatility Index)

VIX Futures Curve

VIX futures curve saw a modest decline across all expirations, slightly greater on the short end. The October contract traded the last day this Tuesday, with final settlement at 15.96 on Wednesday.

VIX futures curve

VIX vs. Realized Volatility

The VIX has gradually moved down over the course of September and October, but historical volatility has been much lower. The difference between VIX and 21-day historical volatility has returned back above 5 points in the last few days.

VIX vs. 21-day HV Difference

You get to similar values also when you compare the VIX with actually realized volatility (going forward), which of course is only known with 21-day lag (in case of 21-day HV). You can find more explanation of the difference between the two charts and measures here.

VIX and actual realized volatility going forward